My game wont save any progress

I bought this game 4 days ago in Steam, and I have been playing it everyday, however, every time I start the game, it gives me the message "Looks like it's your first time playing. Want some help?" And all of my progress is gone, the tutorials, the extras, and the different skins for the characters. Is this a problem of my PC, or is it a bug? What can I do to solve it?
For more info. I bought a two pack, a friend has the other one, he hasn't reclaimed it yet. I use Windows 10. And yes, my PC has enough space to save a game file.

You can tell if it's the beta by name. It will have Endless beta in the name if it is beta. The beta has ended despite its name, and nobody bothers with it now.

Completely unrelated:
Since you're new, you probably don't know about a neat feature called replay theater. Set -enablereplays in steam game launch to save replays so you can watch them later. I tell you this because it isn't an obvious feature.

Yeah, it is there
The path it follows is: Program Files (x86)/ Steam/ steamapps/ common
The path for MyDocuments is: This PC/ MyDocuments
The thing is, I also find it odd, because my other games from Steam have perfectly normal save files

Well, I've just veryfied them with the Steam option, all are "succesfuly validated"
I went into the files where Skullgirls is located (Steamapps/common) and these are the files:
_CommonRedist/ data01/ Salmon/ dolapi32.dll/ ProgressionInit.txt/ SAAPI32.dll/ SkullGirls.exe/ steam_api.dll/Tolk.dll
All of those are within Skullgirls folder

So, I just solved it, I reinstalled it, and the antivirus gave the message it would block the feature of skullgirls to save (message that didn't show the first time), I also installed the beta, don't know if that affects it or not.
Anyways, thank you all for helping me, sorry for giving so much trouble.
Ninja, thanks a lot n.n